On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria

DOI10.1111/j.0960-1627.2004.00189.xzbMath1137.91443OpenAlexW2117773926MaRDI QIDQ4827311

Klaus Schürger, Michael I. Taksar, Igor V. Evstigneev

Publication date: 16 November 2004

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/22845

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Probabilistic measure theory (60A10) Actuarial science and mathematical finance (91G99)

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Cites Work

• Arbitrage and equilibrium in economies with infinitely many commodities
• Martingales and stochastic integrals in the theory of continuous trading
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• The fundamental theorem of asset pricing with cone constraints
• Optional decompositions under constraints
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• On the pricing of contingent claims under constraints
• Functional analysis and time optimal control
• No Arbitrage in Discrete Time Under Portfolio Constraints
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Dynamic L ^p-Hedging in Discrete Time under Cone Constraints
• Convex Analysis
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

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